A semi closed-form analytic pricing formula for call options in a hybrid Heston-Hull-White model

K. Hout, in 't, J. Bierkens, A.P.C. Ploeg, van der, J.C.H.W. Panhuis, in 't

Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

Abstract

Without abstract.
Original languageEnglish
Title of host publicationProceedings 58th European Study Group Mathematics with Industry (ESGI58/SWI2007), 29 January - 2 February 2007, Utrecht, The Netherlands
EditorsR.H. Bisseling, K. Dajani, T.J. Dijkema, J. Leur, van de, P.A. Zegeling
Place of PublicationUtrecht
PublisherUtrecht University
Pages101-105
Publication statusPublished - 2007

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